This study takes a novel approach to testing the efficacy of technical analysis. Ratherthan testing specific trading rules as is typically done in the literature, we rely oninstitutional portfolio managers’ statements about whether and how intensely they usetechnical analysis, irrespective of the form in which they implement it. In our sample of more than 10,000 portfolios, about one-third of actively managed equity and balancedfunds use technical analysis. We compare the investment performance of funds that usetechnical analysis versus those that do not using five metrics. Mean and median (3 and 4-factor) alpha values are generally slightly higher for a cross section of funds usingtechnical analysis, but performance volatility is also higher. Benchmark-adjusted returnsare also higher, particularly when market prices are declining. The most remarkablefinding is that portfolios with greater reliance on technical analysis have elevated skewness and kurtosis levels relative to portfolios that do not use technical analysis.Funds using technical analysis appear to have provided a meaningful advantage to theirinvestors, albeit in an unexpected way.

The Finance Department and the Mathematical Finance Program of the Questrom School of Business, together with the Hariri Institute for Computing at Boston University are pleased to announce a one-day conference on recent advances in financial econometrics. The focus of the conference lies on the identification of new risks from financial data. It will include a series of talks from experts in the field as well as provide a platform for fruitful discussion. The conference will be held at the Questrom School of Business of Boston University on Saturday, September 10, 2016.

The Twenty-eighth Annual Utah Winter Finance Conference will be held February 8-10, 2018. The opening reception begins Wednesday evening, February 7th. The location is the beautiful Cliff Lodge at Snowbird.